To investigate the effect of particle size on the compressibility of MgO, we performed an X-ray diffractometry study on MgO with different particle size (1000 and 2000 Å). The study was performed under non-hydrostatic conditions up to 60 and 40 GPa for samples with particle size 2000 and 1000 Å, respectively. The values of the isothermal bulk modulus and its pressure derivative deduced by fitting the experimental data using the Birch–Murnaghan equation are: 203(16) GPa, 2.65(0.45); 160(6) GPa, 4.00 (fixed) for MgO (2000 Å) and 202(12) GPa, 2.72(0.59); 178(4) GPa, 4.00 (fixed) for MgO (1000 Å), respectively. No phase transformation has been observed in both cases. We found that the bulk modulus of MgO is independent of the particle size.